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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/141745


    Title: 標的股票與ADR錯價關係之研究-以台積電和聯電COVID-19疫情前後為例
    A study on mispricing between underlying stock and its ADR – Comparing COVID-19 impacts on TSMC and UMC
    Authors: 游季婕
    Yu, Chi-Chieh
    Contributors: 王信實
    Wang, Shinn-Shyr
    游季婕
    Yu, Chi-Chieh
    Keywords: ADR
    錯價
    COVID-19
    單變量GARCH模型
    DCC模型
    CCC模型
    ADR
    Mispricing
    COVID-19
    Univariate GARCH model
    DCC model
    CCC model
    Date: 2022
    Issue Date: 2022-09-02 15:27:13 (UTC+8)
    Abstract: 本文利用GARCH模型 (generalized autoregressive conditional heteroskedasticity model) 探討標的股票與ADR (American Depositary Receipt) 之間錯價 (mispricing) 關係,了解兩者間是否有套利空間。本研究將COVID-19疫情衝擊納入考量,以台積電和聯電作為研究標的,發現錯價主要受美國市場影響,且在疫情過後美國市場的影響有顯著增加。模型中也加入錯價自身落遲項以了解收斂速度,研究發現聯電收斂的時間和幅度都大於台積電,受疫情的程度也台積電大。除了利用單變量GARCH模型分析錯價走勢外,本文也使用雙變量GARCH中的DCC 模型(dynamic conditional correlation model) 探討標的股票和ADR相關性的變化,結果顯示台積電較適合使用CCC模型 (constant conditional correlation model),其標的股票和ADR之間的關係較穩定。
    This paper studies the mispricing relationship between the underlying stock and ADR (American Depositary Receipt) and investigates whether there exists an arbitrage opportunity between them by the GARCH model (generalized autoregressive conditional heteroskedasticity model). Taking TSMC and UMC as examples, we found that the mispricing is mainly affected by the US market, and the impact of the US market has increased significantly after the COVID-19 pandemic. Furthermore, the time and amplitude of the convergence of UMC are greater than that of TSMC, and the pandemic has more impacts on UMC than on TSMC. In addition to the univariate GARCH model, this paper also adopts the DCC model (dynamic conditional correlation model) in the bivariate GARCH to explore the changes in the correlation between the underlying stock and ADR. The results show that the CCC model (constant conditional correlation model) fits better for TSMC and its relationship is more stable between the underlying stock and ADR.
    Reference: 中文部分
    1.王凱立、陳美玲(2003),「亞洲金融風暴發生前後美國與台灣股市動態關聯之進一步研究」,經濟論文叢刊,第31期,頁191-252。
    2.陳旭昇(2003)。《時間序列分析-總體經濟與財務金融之應用》。 臺北:東華書局。
    3.黃營杉、李銘章(2005),「台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究」,東吳經濟商學學報,第48期,頁1-32。
    4.張光亮、黃宗佑(2010),「美國存託憑證與母國股票報酬間之動態關聯性-極端尾部相依性以及Kendall’s tau之研究」,經濟研究,47卷2期頁305-356。
    5.楊奕農(2017)。《時間序列分析-經濟與財務上之應用》。臺北:雙葉書廊。
    6.聶建中、高友笙、楊超翔(2011),「次級房貸危機前後美股對亞股的不對稱性蔓延效果」,中原企管評論,第9期,頁25-52。


    英文部分
    1.Alhaj-Yassen, Y.S., Ladd, D. (2019), “Which sentiments do US investors follow when trading ADRs?”, Journal of Economics and Finance, 43, 506-527.
    2.Bollerslev, T., Engle, R.F., Wooldridge, J.M. (1998), “A capital asset pricing model with time varying covariances.”, Journal of Political Economy, 96, 116-131.
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    5.Esqueda, O.A., Luo, Y., Jackson, D.O. (2013), “The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets.”, Journal of Economics and Finance, 39, 541-556.
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    7.Engle, R.F. (2002), “Dynamic conditional correlation-a sample class of multivariate GARCH models.”, Journal of Business and Economic Statistics, 20, 339-350.
    8.Engle, R.F., Kroner, K.F. (1995), “Multivariate Simultaneous Generalized Arch.”, Econometric Theory, 11(1) 122-150.
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    10.Gagnon, L., Karolyi, G.A. (2010), “Multi-market trading and arbitrage.”, Journal of Financial Economics, 97, 53-80.
    11.Grossmann, A., Ngo, N. (2020), “Economic policy uncertainty and ADR mispricing.”, Journal of Multinational Financial Management, 55, 1-19.
    12.Grossmann, A., Ngo, N., Simpson M.W. (2017), “The asymmetric impact of currency purchasing power imparities on ADR mispricing.”, 42, 74-94.
    13.Jiang, C.X. (1998), “Diversification with American Depositary Receipts: The Dynamics and the Pricing Factors.”, Journal of Business Finance and Accounting, 25, 683-699.
    14.Jondeau, E., Rockinger, M. (2006), “The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application.”, Journal of International Money and Finance, 25, 827-853.
    15.Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach.”, Econometrica, 59, 347-370.
    16.Pontiff, J. (2007), “Costly arbitrage: evidence from closed-end funds.”, Quarterly Journal of Economics, 111, 1135-1151.
    17.Poshakwale, S.S., Aquino, K.P. (2008), “The dynamics of volatility transmission and information flow between ADRs and their underlying stocks.”, Global Finance Journal, 19, 187-201.
    18.Shu, J. (2003), “ADRs and U.S. Market sentiment.”, Journal of Investing Winter 12, 87-95.
    19.Vaira, T.A., Ramaprasad, B. (2002), “Information and volatility linkage under external shocks Evidence from dually listed Australian stocks.”, International Review of Financial Analysis, 11, 59-71.
    Description: 碩士
    國立政治大學
    經濟學系
    109258037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109258037
    Data Type: thesis
    DOI: 10.6814/NCCU202201396
    Appears in Collections:[經濟學系] 學位論文

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